Details about Niels Haldrup

Access statistics for papers by Niels Haldrup.

Last updated 2012-09-12. Update your information in the RePEc Author Service.

Short-id: pha155

Working Papers

2012

1. Unit roots, nonlinearities and structural breaks
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2009

2. A vector autoregressive model for electricity prices subject to long memory and regime switching
   Working Papers, Queen's University, Department of Economics View citations (3)
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007)
   See also Journal Article in Energy Economics (2010)
3. Detection of additive outliers in seasonal time series
   CREATES Research Papers, School of Economics and Management, University of Aarhus
   See also Journal Article in Journal of Time Series Econometrics (2011)

2006

4. A Gaussian IV estimator of cointegrating relations
   Economics Working Papers, School of Economics and Management, University of Aarhus View citations (1)
5. A Note on the Vogelsang Test for Additive Outliers
   Economics Working Papers, School of Economics and Management, University of Aarhus
   See also Journal Article in Statistics & Probability Letters (2008)

2005

6. Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
   Economics Working Papers, School of Economics and Management, University of Aarhus View citations (1)
   See also Journal Article in Journal of Business & Economic Statistics (2007)
7. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
   Economics Working Papers, School of Economics and Management, University of Aarhus
   See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2006)
8. Improving Size and Power in Unit Root Testing
   Economics Working Papers, School of Economics and Management, University of Aarhus View citations (18)
9. Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon
   Working Papers, Centre for Competition Policy, University of East Anglia
   Also in Economics Working Papers, School of Economics and Management, University of Aarhus (2005)
10. Sequential versus simultaneous market
    Working Papers, Copenhagen Business School, Department of Economics
11. Testing for Additive Outliers in Seasonally Integrated Time Series
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (2)
    Also in Economics Working Papers, School of Economics and Management, University of Aarhus (2004)

2004

12. A Regime Switching Long Memory Model for Electricity Prices
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (11)
    See also Journal Article in Journal of Econometrics (2006)

2003

13. Long-Run Forecasting in Multicointegrated Systems
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
    Also in Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2002) View citations (1)
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (6)
    See also Journal Article in Journal of Forecasting (2004)

1996

14. Estimating the LQAC model with I(2) Variables
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (1)
    See also Journal Article in Journal of Applied Econometrics (1999)
15. Multiple Unit Roots in Periodic Autoregression
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (4)
    See also Journal Article in Journal of Econometrics (1997)
16. Separation in Cointegrated Systems,Long Memory Components and Common Stochastic Trends
    Economics Working Papers, School of Economics and Management, University of Aarhus

1994

17. Multicointegration and Present Value Relations
    Economics Working Papers, School of Economics and Management, University of Aarhus
    Also in Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid

1993

18. Money Demand, Expectations and the Foreward Looking Model: A Comment
    Economics Working Papers, School of Economics and Management, University of Aarhus
19. Polynomially Cointegrated Systems and their Representation; A Synthesis
    Economics Working Papers, School of Economics and Management, University of Aarhus

1992

20. Heteroscedasticity in Non-Stationary Time Series, Some Monte Carlo Evidence
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (4)
21. Testing Quadriatic Adjustment Cost Models within a Cointegrated VAR
    Economics Working Papers, School of Economics and Management, University of Aarhus
22. The Effects of Additive Outliers on Tests for Unit Roots and Cointegration
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (8)
    See also Journal Article in Journal of Business & Economic Statistics (1994)

1991

23. Testing for Double Unit Roots
    Economics Working Papers, School of Economics and Management, University of Aarhus

1990

24. TESTS FOR UNIT ROOTS WITH A MAINTAINED TREND WHEN THE TRUE DATA GENERATING PROCESS IN A RANDOM WALK WITH DRIFT
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (2)

1989

25. UNIT ROOTS AND DETERMINISTIC TRENDS, WITH YET ANOTHER COMMENT ON THE EXISTENCE AND INTERPRETATION OF A UNIT ROOT IN U.S. GNP
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (3)

Undated

26. A Review of the Econometric Analysis of I(2) Variables
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (5)
27. Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (4)
28. Estimation of Fractional Integration in the Presence of Data Noise
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
29. Local Power Functions of Tests for Double Unit Roots
    Economics Working Papers, School of Economics and Management, University of Aarhus
    See also Journal Article in Statistica Neerlandica (2005)
30. Measurement Errors and Outliers in Seasonal Unit Root Testing
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (2)
    See also Journal Article in Journal of Econometrics (2005)
31. Multicointegration in Stock-Flow Models
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (5)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
32. On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (5)
33. Product Market Integration and European Labour Markets
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (2)
34. Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (1)
35. Testing for Multicointegration
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (15)
    Also in Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid View citations (8)
    See also Journal Article in Economics Letters (1997)
36. Udviklingslinier i Oekonometrien
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (1)

Journal Articles

2011

1. Detection of Additive Outliers in Seasonal Time Series
   Journal of Time Series Econometrics, 2011, 3, (2), 2
   See also Working Paper (2009)
2. Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors’ Introduction
   Journal of Time Series Econometrics, 2011, 3, (1), 1

2010

3. A vector autoregressive model for electricity prices subject to long memory and regime switching
   Energy Economics, 2010, 32, (5), 1044-1058 View citations (3)
   See also Working Paper (2009)
4. Separation in Cointegrated Systems
   Journal of Financial Econometrics, 2010, 8, (2), 177-180 View citations (2)

2008

5. A note on the Vogelsang test for additive outliers
   Statistics & Probability Letters, 2008, 78, (3), 296-300 View citations (2)
   See also Working Paper (2006)

2007

6. Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
   Journal of Business & Economic Statistics, 2007, 25, 21-32 View citations (4)
   See also Working Paper (2005)
7. Estimation of fractional integration in the presence of data noise
   Computational Statistics & Data Analysis, 2007, 51, (6), 3100-3114 View citations (12)
   See also Working Paper

2006

8. A regime switching long memory model for electricity prices
   Journal of Econometrics, 2006, 135, (1-2), 349-376 View citations (23)
   See also Working Paper (2004)
9. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
   Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 1 View citations (6)
   See also Working Paper (2005)

2005

10. Local power functions of tests for double unit roots
    Statistica Neerlandica, 2005, 59, (2), 159-179 View citations (5)
    See also Working Paper
11. Measurement errors and outliers in seasonal unit root testing
    Journal of Econometrics, 2005, 127, (1), 103-128 View citations (12)
    See also Working Paper

2004

12. Long-run forecasting in multicointegrated systems
    Journal of Forecasting, 2004, 23, (5), 315-335 View citations (3)
    See also Working Paper (2003)

2003

13. Guest Editors' Introduction: Model Selection and Evaluation in Econometrics
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 681-688

2002

14. REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES
    Econometric Theory, 2002, 18, (06), 1309-1335 View citations (6)

2000

15. Labour market implications of EU product market integration
    Economic Policy, 2000, 15, (30), 105-134 View citations (27)

1999

16. Estimating the LQAC Model with I(2) Variables
    Journal of Applied Econometrics, 1999, 14, (2), 155-70 View citations (6)
    See also Working Paper (1996)
17. Multicointegration in Stock-Flow Models
    Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 237-54 View citations (15)
    See also Working Paper

1998

18. An Econometric Analysis of I(2) Variables
    Journal of Economic Surveys, 1998, 12, (5), 595-650 View citations (37)
19. Representations of I(2) cointegrated systems using the Smith-McMillan form
    Journal of Econometrics, 1998, 84, (2), 303-325 View citations (5)

1997

20. Money demand, adjustment costs, and forward-looking behavior
    Journal of Policy Modeling, 1997, 19, (2), 153-173 View citations (3)
21. Multiple unit roots in periodic autoregression
    Journal of Econometrics, 1997, 80, (1), 167-193 View citations (3)
    See also Working Paper (1996)
22. Separation in Cointegrated Systems and Persistent-Transitory Decompositions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 449-63 View citations (12)
23. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 View citations (15)
    See also Working Paper

1996

24. Mirror image distributions and the Dickey-Fuller regression with a maintained trend
    Journal of Econometrics, 1996, 72, (1-2), 301-312 View citations (2)

1995

25. A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
    Economics Letters, 1995, 48, (3-4), 221-228 View citations (6)

1994

26. Semiparametric Tests for Double Unit Roots
    Journal of Business & Economic Statistics, 1994, 12, (1), 109-22 View citations (8)
27. The Effects of Additive Outliers on Tests for Unit Roots and Cointegration
    Journal of Business & Economic Statistics, 1994, 12, (4), 471-78 View citations (75)
    See also Working Paper (1992)
28. The Linear Quadratic Adjustment Cost Model and the Demand for Labour
    Journal of Applied Econometrics, 1994, 9, (S), S145-59 View citations (12)
29. The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
    Journal of Econometrics, 1994, 63, (1), 153-181 View citations (30)